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CalPERS fraud watch

It was a year and three days ago that CalPERS attempted its great performance fraud, claiming that its subjectively valued assets (real estate and private equity) were going straight up even as global asset markets were declining.

California's huge government pension fund is expected to report today a whopping annual loss of an estimated $56.8 billion, almost a quarter of its investment portfolio.

The loss at the California Public Employees' Retirement System for the fiscal year ended June 30 is the second in a row for the country's largest fund. A year ago, CalPERS reported an $8.5-billion loss, as the severe recession began to take hold.

Yes, the official numbers are horrific, but the smart money says that the truth is even worse.

The California Public Employees' Retirement System reported a decline of 23.4% for its latest fiscal year ending in June, marking its worst year ever.

The pension fund saw its value fall by $56 billion from the previous fiscal year to $180.9 billion.

[...]

Some of Calpers's worst-performing assets were private or "alternative" investments, which have attracted the interest of many public pensions and endowments in recent years. Real estate was hardest hit, falling an estimated 35.8%, and private equity was next in line with a 31.4% decline. Figures for both of these categories reflected the 12-month period ending in March.

Cash, up 1.4%, and the fund's global fixed-income, which earned 0.6%, were the only reported assets to finish higher.

Real estate and private equity only down 35.8% and 31.4%? I doubt that, as much of it was highly leveraged, and last year's valuations were fantasies.